Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0649 |
| Annualized Std Dev | 0.3621 |
| Annualized Sharpe (Rf=0%) | 0.1791 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1785 |
| Quartile 1 | -0.0116 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0120 |
| Maximum | 0.1947 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0005 |
| Stdev | 0.0228 |
| Skewness | 0.1893 |
| Kurtosis | 5.5706 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0158 |
| Gain Deviation | 0.0166 |
| Loss Deviation | 0.0154 |
| Downside Deviation (MAR=210%) | 0.0203 |
| Downside Deviation (Rf=0%) | 0.0156 |
| Downside Deviation (0%) | 0.0156 |
| Maximum Drawdown | 0.8129 |
| Historical VaR (95%) | -0.0335 |
| Historical ES (95%) | -0.0503 |
| Modified VaR (95%) | -0.0332 |
| Modified ES (95%) | -0.0456 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2010-12-07 | 2016-01-19 | NA | -0.8129 | 2589 | 1287 | NA |
| 2008-03-17 | 2008-10-27 | 2010-10-01 | -0.6525 | 643 | 157 | 486 |
| 1999-10-05 | 2000-11-13 | 2002-02-04 | -0.3957 | 585 | 282 | 303 |
| 2002-06-04 | 2002-07-26 | 2002-12-13 | -0.3570 | 136 | 38 | 98 |
| 2003-12-03 | 2005-05-13 | 2005-10-10 | -0.2964 | 467 | 364 | 103 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 1.5 | 1.2 | -0.4 | 0.7 | 0.4 | -0.4 | -2.3 | -0.7 | 5.1 | -2.8 | 0 | -0.3 | 1.8 |
| 2000 | -1.1 | 1 | 1.8 | 1.6 | 0 | 1.6 | 0.4 | 0 | -0.4 | -0.9 | 0.9 | -0.8 | 4.2 |
| 2001 | 4 | -2.4 | -0.4 | 1.5 | 0.8 | 1.3 | 0.1 | -1.1 | 4.6 | 1.1 | 0.6 | 0.9 | 11.2 |
| 2002 | 4.1 | 2 | 0.7 | 2.3 | 1.2 | 8.3 | 4.4 | -0.3 | -4.1 | 4.3 | 0.4 | 2.5 | 28.4 |
| 2003 | -0.7 | 2.2 | -1.3 | 1.2 | -0.1 | 3.4 | -0.8 | -0.1 | 0 | -0.1 | 0.3 | -0.5 | 3.4 |
| 2004 | 0.4 | 0.8 | 0 | -0.2 | -1.1 | 0.3 | 1.2 | 0.1 | -1.4 | 0 | 0.1 | 0.2 | 0.5 |
| 2005 | 0 | -1.1 | 0.8 | 1.9 | 2.5 | -1.3 | 0.5 | 2.9 | -0.8 | -0.1 | 3.4 | 0 | 8.9 |
| 2006 | 0.1 | 0.3 | -0.2 | 2 | -2.9 | 4.7 | 1.4 | 1.1 | -0.8 | 0 | -0.2 | 0.5 | 6.2 |
| 2007 | 0.4 | -1 | 0.7 | -0.5 | 2.2 | 1.1 | -1.4 | 2.7 | 0.3 | -3 | 0 | -1.4 | 0 |
| 2008 | -0.4 | 0.6 | -3.4 | -2.8 | 1.1 | -0.9 | -2.4 | -0.6 | 0.8 | -0.8 | -10.1 | 2.3 | -15.8 |
| 2009 | 0.7 | -0.5 | 3.4 | -0.2 | 1.4 | 1.7 | 3.4 | -0.8 | -1.9 | -2.3 | 3.3 | 0.3 | 8.5 |
| 2010 | 2.6 | 1 | 2.7 | -0.1 | -0.8 | -2.6 | 0.8 | -1.7 | 2 | 1.2 | 0 | 1 | 6.2 |
| 2011 | 1.9 | 1.2 | -0.7 | 0.5 | -1.7 | -0.6 | -0.2 | 0.2 | -2.1 | -1.1 | 1.4 | 0.5 | -1 |
| 2012 | 0.3 | -0.1 | 1.8 | 0 | 3.1 | 2.7 | -2 | 2 | 0.8 | -0.8 | -0.8 | 1.4 | 8.5 |
| 2013 | 0.1 | 0.7 | -0.8 | -1.9 | -1.8 | 1 | -1.4 | -0.7 | -0.3 | -3 | 1.6 | 0.5 | -5.9 |
| 2014 | -0.2 | 0 | -0.1 | -0.6 | 0.6 | -1 | 0.8 | 0.3 | -0.9 | -4.4 | 4.4 | 0.6 | -0.5 |
| 2015 | 1.6 | 1.2 | 3.5 | 1 | -1.8 | -2.5 | 2.1 | -0.6 | -3.2 | -1.3 | 3.1 | 1.8 | 4.9 |
| 2016 | 2.7 | -1.9 | 0.5 | 6 | 0.3 | 6 | 2.1 | 3.8 | 0.1 | 2.9 | 0.5 | -2.8 | 21.6 |
| 2017 | 0.4 | 0.8 | 0.7 | -2.2 | 0 | 0.6 | -0.7 | 0.4 | -0.3 | -0.3 | 0.4 | -0.2 | -0.4 |
| 2018 | -0.3 | 0.7 | 1.5 | 0.6 | 0.2 | 1.7 | -0.7 | -0.8 | 0 | 3.7 | -0.3 | 1.8 | 8.1 |
| 2019 | -1 | -2.2 | -2.3 | -1.6 | 3.4 | -3.8 | 4.8 | 0.3 | 1 | -0.9 | 1.6 | -0.4 | -1.2 |
| 2020 | 1.1 | -6.7 | 3.5 | 2.8 | 3.5 | -0.1 | 2.7 | -1.3 | 2.8 | 0.4 | 4.5 | -1.2 | 12.1 |
| 2021 | 4.8 | -0.6 | 1.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 5.25 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-05 5.38 SPY 124. 0.0114 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-06 5.56 SPY 127. 0.0241 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-07 6.29 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
5 1999-01-08 6.08 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
6 1999-01-11 6.23 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
